**Gap Filler system building using analysis rather than brute force**
Rather than just wondering what a certain change in my system will do to the results and trying to find out by running a brute force optimisation for a parameter, I thought I'd try a more intelligent approach so I output the profit and the dailiy ATR for the simplest realistic system.
Enter 5 points on limit away from the Sunday Open on opposite side from Friday's close in direction of Friday's close.
Exit Monday at 21:00GMT+0.
The results are perhaps predictable. 2000 - 2008: the higher the ATR, the less profitable it is.
The first chart is the simple net count of profitable trades - losing trades where the ATR as a % of price is 0 - 1%, 1 - 2%, 2 - 3% etc. The second is the total profit.
I figure I should consult with some excel whizzkid because I'm doing this stuff by cutting and pasting formulae from cell to cell to build up a massive table of data, but there must be ways of coding a formula in one cell or running a built-in excel function.
__________________ *What matters most is how well you walk through the fire.* *
Last edited by Adamus; Mar 7, 2011 at 9:35pm.
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